Package: ModalForecast 0.1.0
Christian Galarza
ModalForecast: Parametric Modal ARIMA Models using the SKD Family
Implements parametric modal Autoregressive Integrated Moving Average (ARIMA) models utilizing the Skewed Distribution (SKD) family. Current distributions supported are the Skew-Normal, Skewed Student-t, and Skewed Laplace. The conditional mode is parameterized and optimized via maximum likelihood using analytical gradients. Includes comprehensive residual diagnostics, robustness options (heavy tails, asymmetry), robust parametric bootstrap prediction intervals, and classical asymptotic inference via the Fisher Information matrix. Methods are described in Galarza, C.E., Lachos, V.H., Cabral, C.R.B., & Castro, L.M. (2017) <doi:10.1002/sta4.140>.
Authors:
ModalForecast_0.1.0.tar.gz
ModalForecast_0.1.0.tar.gz(r-4.7-any)ModalForecast_0.1.0.tar.gz(r-4.6-any)
ModalForecast_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
ModalForecast/json (API)
NEWS
| # Install 'ModalForecast' in R: |
| install.packages('ModalForecast', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/chedgala/modalforecast/issues
Last updated from:8d30c72324. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 156 | ||
| source / vignettes | OK | 193 | ||
| linux-release-x86_64 | OK | 160 | ||
| wasm-release | OK | 129 |
Exports:auto.modal.arimadiagnosticsenvelopefit_modal_arimaforecast
Dependencies:clicolorspacecpp11farverforecastfracdiffgenericsggplot2gluegridExtragtableisobandlabelinglatticelifecyclelmtestmagrittrnlmennetR6RColorBrewerRcppRcppArmadillorlangS7scalestimeDateurcavctrsviridisLitewithrzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Automatic selection of Parametric Modal ARIMA model | auto.modal.arima |
| Diagnostic Plots for Modal ARIMA Models | diagnostics diagnostics.modal_arima |
| Simulation Envelope Diagnostics for Modal ARIMA Models | envelope envelope.modal_arima |
| Fit a Parametric Modal ARIMA Model using the SKD Family | fit_modal_arima |
| Forecast methodology for Modal ARIMA | forecast.modal_arima |